Option pricing with transaction costs using a Markov chain approximation
From MaRDI portal
Publication:951502
DOI10.1016/S0165-1889(03)00059-9zbMath1179.91244MaRDI QIDQ951502
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
option pricing; transaction costs; singular stochastic control; utility maximisation; Markov chain approximation
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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